Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0318
Annualized Std Dev 0.2850
Annualized Sharpe (Rf=0%) 0.1117

Row

Daily Return Statistics

Close
Observations 4304.0000
NAs 1.0000
Minimum -0.1618
Quartile 1 -0.0061
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0068
Maximum 0.1608
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0180
Skewness 0.1446
Kurtosis 14.5419

Downside Risk

Close
Semi Deviation 0.0127
Gain Deviation 0.0143
Loss Deviation 0.0145
Downside Deviation (MAR=210%) 0.0169
Downside Deviation (Rf=0%) 0.0125
Downside Deviation (0%) 0.0125
Maximum Drawdown 0.7990
Historical VaR (95%) -0.0245
Historical ES (95%) -0.0435
Modified VaR (95%) -0.0232
Modified ES (95%) -0.0232
From Trough To Depth Length To Trough Recovery
2007-02-21 2009-03-06 2017-11-02 -0.7990 2697 515 2182
2020-02-18 2020-03-23 2021-01-12 -0.4478 229 25 204
2018-01-29 2018-12-24 2019-12-06 -0.2582 469 229 240
2004-03-08 2004-05-10 2004-11-04 -0.1078 160 44 116
2004-12-22 2005-04-20 2005-11-07 -0.1063 222 82 140

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA 0.6 1.1 -0.9 -0.2 -0.7 -0.3 -0.2 1.3 0.4 1.6 -0.1 2.5
2005 1.1 1.1 -1.6 0.2 0.4 -0.5 0 0.7 0.1 -0.1 1 -0.3 2.1
2006 0.2 0.4 0.4 -1.3 1.4 -0.2 -0.3 0.1 -0.3 -1 -0.8 -0.4 -1.9
2007 0.4 -0.3 -0.1 0 0.3 -0.9 0.6 1.8 2.2 -4.2 2.4 0.7 2.9
2008 2.8 -3.4 6.8 3.7 -0.8 1.1 0.8 0 2.1 5.1 -16.2 3.5 3.5
2009 -2.2 -5.2 1.9 -1.3 1.7 0 0.7 -4.8 -3.9 -4 0.2 -0.4 -16.4
2010 1.3 0.4 0.8 -2.5 -2.2 -0.8 0.1 3.8 0.8 -0.1 2 0.2 3.6
2011 1.9 -2.1 0.9 -0.1 -3.3 1.6 -0.3 -2.2 -3 -4.4 -1 -0.5 -12
2012 1.6 1 0.3 1 -3.6 2.5 -0.5 0.4 0.4 1 -0.2 1.4 5.3
2013 1.3 0.2 -0.5 -1.2 -1.9 0.5 1.5 -0.7 0.9 0.2 -0.3 0.3 0.2
2014 -1.1 0.6 0.5 0.1 0.2 0.6 -0.9 0.5 -1.1 1.2 -0.9 -1.2 -1.3
2015 -1.5 -0.3 -0.1 0.6 0.2 1.3 -0.3 -3.2 0.2 -1.3 1.1 -0.9 -4.3
2016 -0.4 3.3 0.6 -0.6 0.3 -0.4 -0.3 -0.5 1.4 -0.5 1.5 0.3 4.7
2017 0.1 2.7 -0.7 0.6 1.4 -0.1 0.7 0.4 0.3 0.2 0.2 -0.6 5.3
2018 1 -1.5 1.3 0.1 1 -0.1 0.1 0 0 0.5 0.6 1 4.1
2019 0.5 0.5 2.3 -0.8 -1.5 1.1 -2.3 0.3 -2.2 1.4 -0.2 0.2 -0.7
2020 -1.9 -2.8 -6.2 -3.4 1.2 -1.2 -0.1 0.3 0.4 0.3 1.7 1.2 -10.3
2021 1.4 3.1 -1.1 NA NA NA NA NA NA NA NA NA 3.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-01-30  49.9 SPY    113.  0        -0.0083   0.0207   0.0789    0.344   -0.168  -0.0998 <NA>     NA    NA       NA
2 2004-02-02  50.1 SPY    114.  0.0043   -0.0164   0.0242   0.0813    0.324   -0.162  -0.0853 <NA>     NA    NA       NA
3 2004-02-03  50.1 SPY    114. -0.0017   -0.0078   0.0229   0.0805    0.320   -0.163  -0.102  <NA>     NA    NA       NA
4 2004-02-04  49.7 SPY    113. -0.0082   -0.0046   0.0036   0.0647    0.322   -0.174  -0.116  <NA>     NA    NA       NA
5 2004-02-05  49.8 SPY    113.  0.00290  -0.0026   0.0056   0.0702    0.334   -0.179  -0.108  <NA>     NA    NA       NA
6 2004-02-06  50.4 SPY    114.  0.0112    0.0085   0.0135   0.0813    0.355   -0.165  -0.0926 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart